Evolutionary Approaches for Estimating a Coupled Markov Chain Model for Credit Portfolio Risk Management.
Ronald HochreiterDavid WozabalPublished in: EvoWorkshops (2009)
Keyphrases
- markov chain
- risk management
- monte carlo simulation
- markov model
- risk assessment
- transition probabilities
- steady state
- probabilistic model
- transition matrix
- portfolio optimization
- monte carlo
- random walk
- decision support system
- simulated annealing
- stationary distribution
- probability distribution
- high level
- risk evaluation